A Mellin transform approach to pricing barrier options under stochastic elasticity of variance.
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| Title: | A Mellin transform approach to pricing barrier options under stochastic elasticity of variance. |
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| Authors: | Kim, Hyun‐Gyoon1 (AUTHOR), Cao, Jiling2 (AUTHOR), Kim, Jeong‐Hoon1 (AUTHOR) jhkim96@yonsei.ac.kr, Zhang, Wenjun2 (AUTHOR) |
| Source: | Applied Stochastic Models in Business & Industry. Mar2023, Vol. 39 Issue 2, p160-176. 17p. |
| Database: | Mathematics Source |
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| ISSN: | 15241904 |
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| DOI: | 10.1002/asmb.2731 |
